Cheapest Superstrategies without the Optional Decomposition

Claude Martini 1
1 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Abstract : We follow very closely Föllmer and Kabanov Lagrange multiplier approach to superstrategies in perfect incomplete markets, except that we provide a very simple proof of the existence of a minimizing multiplier in case of a European option under the assumption that the discounted process of the underlying is an $L^2\left( P\right) $ martingale for some probability $P.$ Even if it gives the existence of a superstrategy associated to the supremum of the expectations under the equivalent martingale measures, our result is much weaker than the optional decomposition theorem.
Type de document :
Rapport
[Research Report] RR-3931, INRIA. 2000
Liste complète des métadonnées

https://hal.inria.fr/inria-00072721
Contributeur : Rapport de Recherche Inria <>
Soumis le : mercredi 24 mai 2006 - 10:42:08
Dernière modification le : vendredi 25 mai 2018 - 12:02:03
Document(s) archivé(s) le : jeudi 24 mars 2011 - 12:13:36

Fichiers

Identifiants

  • HAL Id : inria-00072721, version 1

Collections

Citation

Claude Martini. Cheapest Superstrategies without the Optional Decomposition. [Research Report] RR-3931, INRIA. 2000. 〈inria-00072721〉

Partager

Métriques

Consultations de la notice

147

Téléchargements de fichiers

111